Finance

MU Move Probability $913.61 +17.01 (+1.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Touch Probability (First Passage)
21.1%
Stock touched +5.0% ($959.29) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
12.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.5%
$872.83 — $954.39

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.1% to -13.9%: 2 occurrences (0.4%) -15.0% -13.9% to -11.6%: 4 occurrences (0.8%) -11.6% to -9.4%: 6 occurrences (1.2%) -9.4% to -7.2%: 6 occurrences (1.2%) -8.3% -7.2% to -5.0%: 20 occurrences (3.8%) -5.0% to -2.8%: 62 occurrences (11.9%) -2.8% to -0.6%: 102 occurrences (19.6%) -1.7% -0.6% to +1.7%: 127 occurrences (24.4%) +1.7% to +3.9%: 88 occurrences (16.9%) +3.9% to +6.1%: 63 occurrences (12.1%) 5.0% +6.1% to +8.3%: 19 occurrences (3.6%) +8.3% to +10.5%: 12 occurrences (2.3%) +10.5% to +12.8%: 4 occurrences (0.8%) 11.6% +12.8% to +15.0%: 1 occurrences (0.2%) +15.0% to +17.2%: 2 occurrences (0.4%) +17.2% to +19.4%: 3 occurrences (0.6%) 18.3%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 21.1% 12.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.0% Adjusts normal bell curve for real-world skewness (-0.05) and kurtosis (2.27).
Standard Normal (Black-Scholes / GBM) 27.4% 13.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.3% 8.1% Filters for historical windows that started with volatility similar to current 20-day HV (209 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.9%
  • Recent 20-Day HV: 44.5%
  • Parkinson Intraday Volatility: 50.0%
  • Vol Trend: Compressed (-37% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +5.5%
  • Bottom 10% Move (10th percentile): -4.3%
  • Max Historical Gain (1d): +19.4%
  • Max Historical Loss (1d): -16.1%